Correlated Log-Normal Random Variables under a Multiscale Volatility Model
The study focuses on extending the fast mean-reversion volatility, which was developed by the author in a previous work, to the multiscale volatility model so that it can express a well-separated time scale. The leading-order term and first-order correction terms are analytically computed using the...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2021-01-01
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| Series: | Advances in Mathematical Physics |
| Online Access: | http://dx.doi.org/10.1155/2021/5916312 |